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Spillover Effects between the Stock Market and the Real Economy (Replication ...
This paper illustrates a behavioral mixed frequency macro-finance model where both real and financial variables are generated on a daily basis. Further, while financial sector... -
Multiple structural breaks in interactive effects panel data models (replicat...
This dataset contains the data and instructions on how to replicate the results in the paper "Multiple structural breaks in interactive effects panel data models", by Jan... -
Sectoral slowdowns in the UK: Evidence from transmission probabilities and ec...
This folder contains MATLAB and R software and data to accompany the paper "Sectoral slowdowns in the UK: Evidence from transmission probabilities and economic linkages" by... -
The Nonlinear Dynamics of Corporate Bond Spreads: Regime-Dependent Effects of...
This paper studies the behavior of corporate bond spreads during different market regimes between 2004 and 2016. Applying a Markov-switching vector autoregressive (MS-VAR)... -
Projecting the Spread of COVID19 for Germany
We model the evolution of the number of individuals reported sick with COVID-19 in Germany. Our theoretical framework builds on a continuous time Markov chain with four states:... -
Optimal Social Insurance and Health Inequality
This paper integrates into public economics a biologically founded, stochastic process of individual ageing. The novel approach enables us to quantitatively characterize the... -
Thoughts on a Fiscal Union in EMU
Using an estimated large-scale New-Keynesian model, we assess the consequences of introducing a fiscal union within EMU. We differentiate between three different scenarios:... -
Credit Demand and Supply in Greece
Contains data used in the paper "Measuring Credit Demand and Supply: A Bayesian Model with an Application to Greece (2003–2011)" (published in the Jahrbücher für... -
Banking Overleveraging and Macro Instability: A Model and VSTAR Estimations-r...
Overleveraging of the banking sector has been considered one of the main causes of the 2007--09 financial crisis and the subsequent great recession. It was also of major concern...
